Arjen Robben’s second-half strike from close range looked to have secured victory for Bayern, who were searching for their first Supercup triumph since 2012 after successive defeats to Borussia Dortmund.
But substitute Bendtner – who scored just one goal in 18 league appearances for the Wolves last season – equalised in the 89th minute after a terrific cross from Belgium international Kevin De Bruyne.
With no extra-time played, the match went straight to penalties with Xabi Alonso the culprit for Pep Guardiola’s Bayern who lost the shootout 5-4.
Alonso – Bayern’s second penalty taker – was thwarted by Wolfsburg’s Belgian goalkeeper Koen Casteels who saved with his legs, while Dieter Hecking’s Wolfsburg were successful with all five of their spot kicks.
Former Arsenal striker Bendtner also converted the winning penalty to cap a fine personal performance as Wolfsburg secured the first piece of silverware of the season.
Bayern went into the match as slight favourites at the home of last season’s Bundesliga runners-up Wolfsburg, who hammered the Bavarians 4-1 in their last meeting on this ground.
In the traditional Bundelsiga curtain-raiser, both sides contributed to what at times was a high-quality opening period with slick passing and fluid movement.
Wolfsburg, who finished 10 points adrift of Bayern last season, could have taken the lead after 32 minutes when Ivan Perisic’s cross evaded the clutches of several Bayern defenders only for Germany international goalkeeper Manuel Neuer to punch clear.
But Bayern began to stamp their authority on the game with their trademark possession football, and they took the lead just four minutes into the second half.
Newly-signed Brazilian Douglas Costa, who moved to the Allianz Arena from Shakhtar Donetsk for £21m this summer, fired in a cross which Casteels spilled into the path of Netherlands international forward Robben who blasted high into the net.
But just as Bayern looked like seeing out the match, Wolfsburg struck a leveller one minute before added time.
Former Chelsea man De Bruyne drilled in a cross towards Bendtner, who turned the ball past Neuer magnificently to level the tie.
Penalties ensued, with Wolfsburg prevailing 5-4 in a high quality shootout.
It is Bayern’s third-straight defeat in the Supercup, which remains the only domestic trophy that Guardiola has not won during his tenure in Bavaria.
Both sets of players wore black armbands during the game after the death of Bayern club legend Franz Beckenbauer’s son Stefan, who passed away on Saturday at the age of 46 after a long illness.